Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0493
Annualized Std Dev 0.2884
Annualized Sharpe (Rf=0%) 0.1709

Row

Daily Return Statistics

Close
Observations 3851.0000
NAs 1.0000
Minimum -0.1379
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0070
Maximum 0.2063
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0182
Skewness 0.0974
Kurtosis 15.1145

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0141
Loss Deviation 0.0152
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.7617
Historical VaR (95%) -0.0251
Historical ES (95%) -0.0452
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0235
From Trough To Depth Length To Trough Recovery
2007-05-17 2009-03-09 2013-11-14 -0.7617 1638 456 1182
2020-02-18 2020-03-23 2021-03-15 -0.4472 271 25 246
2018-09-21 2018-12-24 2019-04-26 -0.1838 149 65 84
2015-12-02 2016-02-11 2016-06-01 -0.1571 125 49 76
2015-08-19 2015-08-25 2015-12-01 -0.0940 73 5 68

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 0.3 0 0.4
2006 0.3 0.1 -0.5 -1.1 1 0.1 -0.9 0 -0.4 -0.1 -1 -0.7 -3
2007 1.1 -0.3 -0.1 -0.3 0.2 -0.3 0.7 1 1.8 -2.2 1.6 0 3.2
2008 1.7 -2.7 4.9 3.2 -0.7 1 0 -0.3 -3.3 5.7 -12.4 2.1 -2
2009 -4.3 -6.8 2.9 -1.8 1.1 0.7 0.7 -5.7 -3.8 -4.1 0.6 -0.9 -19.9
2010 1.2 0.9 0.9 -2.5 -2.9 -0.7 -0.5 4.1 -0.2 -0.1 2.2 0.2 2.5
2011 2.3 -1.8 1.2 -0.2 -2.8 1.4 -0.8 -2 -2.4 -3.6 -0.6 -0.5 -9.5
2012 2.2 0.7 0.2 0.7 -2.4 2.1 -0.6 0.6 0.3 0.5 0.3 1.2 5.8
2013 0.9 0 -0.5 -0.9 -1.2 1.2 2.1 -0.7 0.5 -0.3 -0.2 0.5 1.4
2014 -1.1 0.6 0.2 0.5 -0.1 0.8 0.1 0.4 -0.9 1.3 -0.9 -1.2 -0.1
2015 -1.5 -0.4 -0.2 0.9 -0.2 2.1 -0.3 -2.3 -0.4 -1.4 1 -1.1 -3.9
2016 -0.2 2.6 1 0.6 0 -0.3 -0.5 -0.4 0.7 -0.8 0.4 0 3.2
2017 0.1 1.5 -0.1 0 1.2 -0.3 0.5 0.2 0 0 -0.1 -0.3 2.7
2018 1 -1.2 0.2 0.2 0.8 0.1 -0.2 0.2 -0.6 0.4 0.5 1 2.2
2019 1 0.5 1.7 -0.9 -0.9 1.5 -1.8 0.1 -1.8 0.7 -0.5 0.3 -0.2
2020 -1.6 -3.8 -5.7 -3.5 1.1 -1.8 0.5 0.6 1.1 -0.4 2 0.9 -10.2
2021 1.2 2.2 -1.4 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-11-15  17.7 SPY    123. -0.0036    0.0083   0.0347   0.0085   0.0455    0.358  -0.123  GLD    46.7  0.0009   0.0163
2 2005-11-16  17.5 SPY    123.  0.002     0.009    0.0481   0.0106   0.0414    0.351  -0.118  GLD    47.8  0.024    0.0262
3 2005-11-17  17.7 SPY    125.  0.00930   0.0105   0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5  0.0147   0.043 
4 2005-11-18  17.7 SPY    125.  0.0039    0.0111   0.0634   0.0217   0.0657    0.385  -0.077  GLD    48.5 -0.0004   0.0355
5 2005-11-21  17.8 SPY    126.  0.005     0.0167   0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0  0.0109   0.0508
6 2005-11-22  17.8 SPY    126.  0.0043    0.0248   0.0529   0.0425   0.0689    0.342  -0.095  GLD    49.3  0.0067   0.057 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart